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Temporal aggregation of GARCH models. Conditional kurtosis and optimal frequency
Author: | Thomas Breuer, Martin Jandacka |
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URL: | https://homepages.fhv.at/tb/cms/?download=BreuerJandacka-GARCHaggreg.pdf |
Date: | 20.04.2020 |
Document Type: | Report |
Language: | English |
Year of publication: | 2010 |
Release Date: | 2018/11/22 |
Organisationseinheit: | Technik / Department of Computer Science (Ende 2021 aufgelöst; Integration in die übergeordnete OE Technik) |
Forschung / Forschungszentrum Business Informatics | |
Technik / Technik | Engineering & Technology | |
Publicationlist: | Jandacka, Martin |
Breuer, Thomas |